Underwriting risk control in non-life insurance via generalized linear models and stochastic programming
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124548" target="_blank" >RIV/00216208:11320/12:10124548 - isvavai.cz</a>
Result on the web
<a href="http://mme2012.opf.slu.cz/proceedings/proceedings.php" target="_blank" >http://mme2012.opf.slu.cz/proceedings/proceedings.php</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Underwriting risk control in non-life insurance via generalized linear models and stochastic programming
Original language description
We focus on rating of non-life insurance contracts. We employ multiplicative models with basic premium levels and specic surcharge coefficients for various levels of selected segmentation criteria (rating factors). We use generalized linear models to describe the probability distribution of total losses for a contract during one year. We propose stochastic programming problems with reliability type constraints for the surcharge coecients estimation which take into account riskiness of each rate cell, prescribed loss ratio and other business requirements. We apply the approach to Motor Third Party Liability (MTPL) policies.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
61-66
Publisher name
Silesian University in Opava
Place of publication
Karviná, Czech Republic
Event location
Karviná, Czech Republic
Event date
Sep 11, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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